Question
Assume you observe the following market information: Spot gold price/gram USD 860,000 Ask USD 870,000 Interest rate USD/3-month lend 1% borrow 2.5% Gold rental rate/3-month
Assume you observe the following market information:
| Spot gold price/gram | USD 860,000 | Ask USD 870,000 |
| Interest rate USD/3-month | lend 1% | borrow 2.5% |
| Gold rental rate/3-month | lend 0.5% | borrow 0.75% |
You are required to: a. calculate the no-arbitrage price of a 3-month gold futures contract. (10%). b. calculate the no-arbitrage price of a 3-month gold futures contract if you don't can lend the gold/cash. (10%).
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A Study In Public Finance
Authors: A. C. Pigou
1st Edition
1443722766, 978-1443722766
